• Communications for Statistical Applications and Methods
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• v.15 no.6
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• pp.825-835
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• 2008

Multivariate GARCH(MGARCH) has been useful in financial studies and econometrics for modeling volatilities and correlations between components of multivariate time series. An obvious drawback lies in that the number of parameters increases rapidly with the number of variables involved. This thesis tries to resolve the problem by using dimension reduction technique. We briefly review both factor models for dimension reduction and the MGARCH models including EWMA (Exponentially weighted moving-average model), DVEC(Diagonal VEC model), BEKK and CCC(Constant conditional correlation model). We create meaningful portfolios obtained after reducing dimension through statistical factor models and fundamental factor models and in turn these portfolios are applied to MGARCH. In addition, we compare portfolios by assessing MSE, MAD(Mean absolute deviation) and VaR(Value at Risk). Various financial time series are analyzed for illustration.

• Journal of the Economic Geographical Society of Korea
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• v.24 no.3
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• pp.243-258
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• 2021

By using the trade in value-added(TiVA) database and employing social network analysis, this paper analyzes changes in global trade to be triggered by the Belt and Road Initiative (BRI) and the US-China trade war. The main results are summarized as follows. First, the BRI will help maintain China's core position as the world's manufacturing hub, and will strengthen Europe's service industry capabilities within the global value chain(GVC) network. Second, the US R&D industry, US wholesale and retail industries, and Germany's automobile industry were considered the most influential industries in the GVC network during the 1995-2011 period, and will retain their status until 2049, when the US-China trade war and the BRI are reflected. Third, the increase of the number of communities shows that the BRI might spur fragmentation of the production process. Finally, community structures of inter-industry trade relations, including China's electronics industry, Germany's automobile industry, and US R&D, show important features that are related to the competiveness of each country's service industries.

• Proceedings of the KIEE Conference
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• 1999.07a
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• pp.229-231
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• 1999

For the first time in Korea, a 30kVA superconducting generator has been designed, developed and successfully tested recently. This is the forerunner of a 1MVA superconducting generator which is currently under development. The paper discusses the structure and manufacturing of a superconducting generator. Helium transfer coupling has 3 passages of the recovered Helium gas and a gas flow control system.

• The Korean Journal of Applied Statistics
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• v.24 no.6
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• pp.1021-1031
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• 2011

Equity linked securities are indirect investments where the return of investment depends on the performance of the underlying equities. In this paper, we review the profit structure of typical equity linked securities through a profit diagram and investigate which characteristics of time series at the investment affect the early repayment of the stepdown ELS based on KOSPI 200 and HSI. We also compare VaRs using the empirical distribution function for risk management.

• Journal of the Korean Data and Information Science Society
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• v.26 no.6
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• pp.1479-1494
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• 2015

Since the Markowitz's mean-variance framework for portfolio analysis, the topic of portfolio optimization has been an important topic in finance. Traditional approaches focus on maximizing the expected return of the portfolio while minimizing its variance, assuming that risky asset returns are normally distributed. The normality assumption however has widely been criticized as actual stock price distributions exhibit much heavier tails as well as asymmetry. To this extent, in this paper we employ the genetic algorithm to find the optimal portfolio under the Value-at-Risk (VaR) constraint, where the tail of risky assets are modeled with the generalized Pareto distribution (GPD), the standard distribution for exceedances in extreme value theory. An empirical study using Korean stock prices shows that the performance of the proposed method is efficient and better than alternative methods.

• KDI Journal of Economic Policy
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• v.46 no.1
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• pp.21-51
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• 2024

Since the Global Financial Crisis of 2008-2009, the importance of nonbank financial institutions in macroprudential management has increased significantly. Consequently, major countries and international financial institutions have been actively discussing and implementing macroprudential supervision and regulation for non-bank financial institutions (NBFI). In this context, this paper analyzes the systemic risk of both banks and non-bank sectors (securities firms and insurance companies) in South Korea over different time periods. Using the widely recognized ΔCoVaR methodology for measuring systemic risk, the analysis reveals that systemic risk increased substantially across all three sectors (banks, securities firms, and insurance companies) during the Global Financial Crisis, the European Sovereign Debt Crisis, and the COVID-19 pandemic. Although the banking sector exhibited relatively high systemic risk compared to the securities and insurance sectors, the relative differences in systemic risk varied across the different crisis periods. Notably, during the margin call crisis in March of 2020, the gap in systemic risk between the banking and securities sectors decreased significantly compared to that during both the Global Financial Crisis and the European Sovereign Debt Crisis, indicating that securities firms had a more substantial impact on risk in the overall financial system during this period. Furthermore, I analyze the impact of the issuance of equity-linked securities (ELS) by financial institutions on systemic risk, as measured by ΔCoVaR, finding that an increase in the outstanding balance of ELS issuance by financial institutions had an impact on increasing ΔCoVaR during the three crisis periods. These findings underscore the growing importance of non-bank financial institutions in relation to South Korea's macroprudential management and supervision. To address this evolving landscape, enhanced monitoring and regulatory measures focusing on non-bank systemic risk are essential components of maintaining financial stability in the country.

• Journal of the Semiconductor & Display Technology
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• v.7 no.3
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• pp.41-43
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• 2008

The electro-optical characteristics of the Liquid Crystal on Silicon (hereinafter "LCOS") micro-display on vertically alignment (VA) mode were studied depending on various cell gaps. 5 different cell gaps, such as $1.4{\mu}m,\;1.8{\mu}m,\;2.1{\mu}m,\;2.4{\mu}m$ and $2.8{\mu}m$, were selected. The reflectance-voltage (R-V) characteristics, distributions of reflected light and reflectance were calculated with 3-dimmensional LC code. At the center of cell, the smallest $1.4{\mu}m$ cell gap showed the lowest reflectance and the largest $2.8{\mu}m$ cell gap showed the highest reflectance due to the surface anchoring effect. In case of $2.1{\mu}m$ cell gap, the sum of reflectance overall cell was the highest value. Considering the reflectance and RV curve characteristic, the optimized cell gap was $2.1{\mu}m$.

• KSII Transactions on Internet and Information Systems (TIIS)
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• v.15 no.7
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• pp.2589-2609
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• 2021

Segment routing (SR) is a highly implementable approach for traffic engineering (TE) with high flexibility, high scalability, and high stability, which can be established upon existing network infrastructure. Thus, when a network failure occurs, it can leverage the existing rerouting methods, such as rerouting based on Interior Gateway Protocol (IGP) and fast rerouting with loop-free alternates. To better exploit these features, we propose a high-performance and easy-to-deploy method SRUF (Segment Routing under Uncertain Failures). The method is inspired by the Value-at-Risk (VaR) theory in finance. Just as each investment risk is considered in financial investment, SRUF also considers each traffic distribution scheme's risk when forwarding traffic to achieve optimal traffic distribution. Specifically, SRUF takes into account that every link may fail and therefore has inherent robustness and high availability. Also, SRUF considers that a single link failure is a low-probability event; hence it can achieve high performance. We perform experiments on real topologies to validate the flexibility, high-availability, and load balancing of SRUF. The results show that when given an availability requirement, SRUF has greater load balancing performance under uncertain failures and that when given a demand requirement, SRUF can achieve higher availability.

• Journal of Biosystems Engineering
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• v.9 no.1
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• pp.22-33
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• 1984

Husk separator is an indispensable equipment in rice milling plants. However, any basic research on the designing and operating criteria of the husk separator have rarely been conducted in Korea. According to the survey results reported recently, grain loss occurs in the process of rice husk separation at custom rice milling plants in Korea and the performance of husk separator has also not been identified. With this regard this study was conducted with a typical commercial husk separator to investigate the effect of the operational factors such as feed rate, blower speed and opening ratio on the velocity distribution in the air duct and the performance of the separator. The results are summerized as follows: 1. The average wind velocity in the primary air duct increased linearly with the blower rpm and the size of air inlet port in both cases of double type and single type operations. 2. The coefficient of variation in the horizontal wind velocities in the primary air duct was the minimum when the opening ratio was 0.22 ($0.052m^2$ of air inlet port) in both cases of single type and double type operations regardless of the blower speeds used in this test. The average wind velocity at the upper part of air duct was greater by 2-5 m/s than the velocity at the bottom part in double type operation. In case of single type operation, however, the average velocity in the middle part was greater than the upper or bottom part when the opening ratio was greater than 0.74. 3. The relationship between the overall effectiveness of separation(Ed for double type and Es for single type) and the average wind velocity (Va) in the primary air duct was expressed in the following quadratic functions. $$Ed=-190.84+106.18Va-10.052Va^2$$ ($r^2$ = 0.97782) $$Es=-223.76+106.23Va-9.1935Va^2$$ ($r^2$ = 0.97029) The average wind velocity required to obtain the overall effectiveness of separation more than 80% ranged from 4.04 m/sec to 5.84 m/sec in case of double type operation, and from 4.70 m/sec to 6.20 m/sec in case of single type. 4. An optimum wind velocity can be obtained with an increase in the blower speed or the size of air inlet port as presented in Figure 8. There was a tendency that the faster the blower speed, the narrower the control range of the air inlet port. 5. The feed rates (1850kg/hr and 2100kg/hr) adopted in this experiment did not bring about a significant difference in both the overall effectiveness of separation and the power consumption. 6. The energy consumption increased cubically with the blower speed but linearly with the size of the air inlet port. On the basis of the results described in items 1, 3, and 6, it would be more economic to adjust the size of the air inlet port larger with a relatively low blower speed than to adjust the size smaller with a relatively high speed.

• Journal of the Economic Geographical Society of Korea
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• v.19 no.4
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• pp.677-693
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• 2016

Using Social Network Analysis and Trade in Value Added Database(TiVA), this paper examines the world trade network. Main findings are as follows. Firstly, there are three types of industries, which have dominant status in the world value added trade network. Those are the manufacturing industries in the developing countries such as China's electronics industry, the service industries in the developed countries such as U.S. R&D, and the manufacturing industries in the developed countries such as German motor vehicle industry. Secondly, the major hub industries in the world trade network have their own specific types in the brokerage roles. Most interestingly, U.S. service industries such as the R&D, the logistics industry, and the whole sale and retail industry reveal itinerant and liaison brokerage roles. Thirdly, Korean industries have been dominated by Chinese industries. However, the financial industry and the R&D industry could have revealed superior status as the brokerage role of itinerant. This implies Korean industries could sustain their competitiveness of the hubness status only by openness policy in the service industry.